Collateralized Borrowing and Default Risk

DOI10.1007/978-3-319-45875-5_8zbMath1367.91188OpenAlexW2558172121MaRDI QIDQ4976498

Yajun Xiao, Eva Lütkebohmert

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_8

zbMATH Keywords

margin requirementsstructural credit risk modelsfunding liquiditycollateralized borrowing

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• On the first passage problem for correlated Brownian motion
• A reflection principle for correlated defaults
• First-passage times of two-dimensional Brownian motion
• A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering

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